Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 9 | 10 | 9 |
| Score | 4.53 | 10.75 | 6.68 |
| Market Cap (Millions USD) | 2753.3 | 2729.28 | 2632.51 |
| Predicted Beta | 0.59 | 0.58 | 0.6 |
| Idiosyncratic Volatility | 3.48 | 3.48 | 4.44 |
Annualized return and volatility
| RWR | |
|---|---|
| Annualized Return | 0.0909 |
| Annualized Std Dev | 0.2882 |
| Annualized Sharpe (Rf=0%) | 0.3153 |
Row
Daily Return Statistics
| RWR | |
|---|---|
| Observations | 4690.0000 |
| NAs | 424.0000 |
| Minimum | -0.2085 |
| Quartile 1 | -0.0057 |
| Median | 0.0006 |
| Arithmetic Mean | 0.0005 |
| Geometric Mean | 0.0003 |
| Quartile 3 | 0.0072 |
| Maximum | 0.1820 |
| SE Mean | 0.0003 |
| LCL Mean (0.95) | 0.0000 |
| UCL Mean (0.95) | 0.0010 |
| Variance | 0.0003 |
| Stdev | 0.0182 |
| Skewness | 0.2657 |
| Kurtosis | 21.0758 |
Downside Risk
| RWR | |
|---|---|
| Semi Deviation | 0.0128 |
| Gain Deviation | 0.0148 |
| Loss Deviation | 0.0150 |
| Downside Deviation (MAR=210%) | 0.0168 |
| Downside Deviation (Rf=0%) | 0.0126 |
| Downside Deviation (0%) | 0.0126 |
| Maximum Drawdown | 0.7492 |
| Historical VaR (95%) | -0.0228 |
| Historical ES (95%) | -0.0430 |
| Modified VaR (95%) | -0.0202 |
| Modified ES (95%) | -0.0202 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-02-08 | 2009-03-06 | 2013-04-04 | -0.7492 | 1575 | 535 | 1040 |
| 2013-05-22 | 2013-08-19 | 2014-06-02 | -0.1800 | 266 | 63 | 203 |
| 2004-04-02 | 2004-05-11 | 2004-08-24 | -0.1780 | 101 | 28 | 73 |
| 2002-07-01 | 2002-10-09 | 2003-05-12 | -0.1754 | 223 | 72 | 151 |
| 2016-08-02 | 2018-02-08 | 2018-08-17 | -0.1679 | 524 | 390 | 134 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | RWR | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2001 | NA | NA | NA | NA | NA | NA | NA | 0.0 | -0.1 | 0.8 | 0.0 | 0.0 | 0.7 |
| 2002 | 0.5 | 0.2 | -0.4 | 0.7 | 0.0 | -2.3 | -1.6 | 0.0 | -0.3 | 1.4 | 0.0 | 0.0 | -1.9 |
| 2003 | 0.0 | 0.0 | 1.0 | 1.0 | 0.0 | 0.9 | -0.3 | 0.0 | 0.8 | 0.0 | 1.2 | 0.0 | 4.7 |
| 2004 | 0.0 | 1.1 | 1.1 | 0.0 | -0.7 | -0.5 | 0.0 | -0.3 | 1.7 | 1.2 | 2.4 | 0.0 | 6.0 |
| 2005 | 0.2 | 1.0 | 0.0 | 0.0 | 1.0 | 0.9 | -0.1 | 0.7 | 0.0 | -2.2 | 0.9 | 0.0 | 2.3 |
| 2006 | 0.5 | 0.7 | 0.0 | -1.5 | 2.2 | 0.0 | -0.4 | -0.5 | 0.0 | -0.7 | -0.2 | 0.0 | 0.1 |
| 2007 | 0.4 | -0.7 | 0.0 | -0.9 | 0.0 | 0.0 | 1.0 | 0.0 | 1.8 | -3.7 | 0.0 | 0.0 | -2.1 |
| 2008 | 4.0 | 0.0 | 6.0 | 2.2 | 0.0 | 0.2 | -0.1 | 0.0 | -1.8 | 0.0 | -20.9 | 0.0 | -12.3 |
| 2009 | 0.0 | 0.0 | -1.7 | -3.5 | 3.1 | 1.2 | 0.0 | -5.3 | -4.5 | 0.0 | 1.2 | 0.0 | -9.5 |
| 2010 | 2.0 | 1.0 | 0.3 | 0.0 | -2.0 | 0.0 | 0.0 | 3.2 | 0.5 | 1.0 | 0.7 | 0.0 | 6.7 |
| 2011 | 0.4 | -3.0 | 0.1 | 0.0 | -2.8 | 1.9 | -1.5 | -1.5 | 0.0 | -3.5 | -1.2 | 0.0 | -10.7 |
| 2012 | 1.0 | 0.6 | 0.0 | 1.2 | -2.5 | 0.0 | -0.3 | 0.0 | -0.8 | 0.3 | 0.0 | 0.0 | -0.6 |
| 2013 | 0.6 | 0.4 | 0.3 | -0.7 | 0.0 | -0.4 | -0.3 | 0.0 | 1.5 | 0.6 | 0.0 | 0.0 | 1.9 |
| 2014 | 0.0 | 0.0 | 0.5 | 0.5 | 0.0 | 0.4 | -0.2 | 0.0 | 0.1 | 0.0 | -0.2 | 0.0 | 1.2 |
| 2015 | 0.0 | 0.0 | -0.3 | 0.9 | 1.3 | 1.6 | 0.0 | -1.9 | 0.5 | 0.0 | 1.4 | 0.0 | 3.5 |
| 2016 | 0.1 | 3.0 | 0.0 | 0.0 | 0.0 | 0.1 | 0.2 | -0.2 | 0.0 | -2.1 | -1.4 | 0.0 | -0.3 |
| 2017 | -1.4 | -0.4 | 0.0 | 0.7 | 0.5 | 0.0 | 0.5 | 0.4 | 0.0 | 0.6 | 0.2 | 0.0 | 1.2 |
| 2018 | -2.1 | 0.4 | 0.0 | 1.0 | 0.5 | 0.0 | 0.6 | 0.0 | -1.0 | 0.4 | 0.0 | 0.0 | -0.3 |
| 2019 | -0.7 | -0.6 | 0.2 | 0.4 | 0.0 | -0.2 | -0.2 | 0.0 | -1.0 | 0.1 | 0.0 | 0.3 | -1.8 |
Row
Rolling Performance Chart
Snail Trail Chart
